Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.1201
Annualized Std Dev 0.1675
Annualized Sharpe (Rf=0%) 0.7166

Row

Daily Return Statistics

Close
Observations 2942.0000
NAs 1.0000
Minimum -0.1078
Quartile 1 -0.0037
Median 0.0009
Arithmetic Mean 0.0005
Geometric Mean 0.0005
Quartile 3 0.0053
Maximum 0.0910
SE Mean 0.0002
LCL Mean (0.95) 0.0001
UCL Mean (0.95) 0.0009
Variance 0.0001
Stdev 0.0106
Skewness -0.6723
Kurtosis 13.4179

Downside Risk

Close
Semi Deviation 0.0078
Gain Deviation 0.0072
Loss Deviation 0.0089
Downside Deviation (MAR=210%) 0.0124
Downside Deviation (Rf=0%) 0.0076
Downside Deviation (0%) 0.0076
Maximum Drawdown 0.3636
Historical VaR (95%) -0.0162
Historical ES (95%) -0.0261
Modified VaR (95%) -0.0159
Modified ES (95%) -0.0333
From Trough To Depth Length To Trough Recovery
2020-02-20 2020-03-23 2020-11-13 -0.3636 188 23 165
2011-05-02 2011-10-03 2012-02-24 -0.1911 207 108 99
2018-09-19 2018-12-24 2019-04-12 -0.1812 142 67 75
2010-04-26 2010-07-02 2010-11-04 -0.1569 135 48 87
2015-05-22 2016-02-11 2016-07-08 -0.1444 285 183 102

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2009 NA NA NA NA NA NA 0.1 -1.9 -2.3 -2.6 1.2 -0.4 -5.8
2010 1.3 1 1 -1.4 -0.7 -0.4 -0.9 3.1 0.2 -0.2 2 -0.1 5.1
2011 1.6 -1.4 0.5 0.4 -2 1.6 -0.6 -0.9 -0.7 -2.8 -0.2 -0.3 -4.8
2012 0.8 0.8 0.4 0.7 -2.1 2.2 0.2 0.4 0.2 0.5 0.2 1.3 5.8
2013 0.7 -0.2 -0.5 -0.9 -1 -0.2 1.2 -0.6 0.7 0.2 0.3 0.4 0.1
2014 -0.6 0.3 0.5 0 0.1 0.5 -0.3 0.4 -1.4 1.2 -0.7 -1.2 -1.1
2015 -1.1 -0.1 -0.4 1 0.1 0.3 -0.2 -2.9 0.2 -0.3 0.7 -0.6 -3.4
2016 0.3 1.7 0.4 -0.4 0.2 0.2 -0.4 -0.2 0.8 -1 -0.5 -0.5 0.6
2017 -0.1 1 0 0.2 0.7 0.3 0 0.3 0.2 0.2 -0.2 -0.2 2.3
2018 -0.1 -1.4 1.3 -0.6 0.3 0.6 -0.5 -0.5 0.4 0.7 0.3 0.4 1.1
2019 0.1 0.5 0.9 -0.8 -0.8 0.5 -0.9 0.1 -1.3 0.9 -0.3 0.3 -0.7
2020 -1.5 -2 -4.7 -3.2 0.7 0.4 0.2 0.1 -0.1 -1.3 1.1 0.7 -9.4
2021 0.9 2 -0.1 NA NA NA NA NA NA NA NA NA 2.9

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Price Chart

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Rolling Performance Chart

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Snail Trail Chart